Hello All, I have been playing with the non linear optimizers in Commons for a few days now. The context in which I am working is Probit/Logit/Tobit type limited dependent variables models. These are well known problems. I found a very well known example of a probit estimation ( http://support.sas.com/rnd/app/examples/ets/margeff/index.html) , the data and attempted to fit the probit model. The only technique which generated 'close' answers to the ones in the publication was Marquardt-Levenberg. The rest of the routines failed in a variety of ways.
That got me to thinking about the tests. While there are tests in Commons, maybe there should be more. So I began writing a test collar for all of the methods (I attached it for comments). To my chagrin, the 'easy' problem from NIST (http://www.itl.nist.gov/div898/strd/nls/data/LINKS/DATA/Misra1a.dat) fails all of the optimizers I tried. Powell gets close on the second starting point. It is possible I screwed up the derivatives or did something foolish-since I am new to the commons optimizers. It is hard to verify the derivatives numerically since they (the objective functions) are designed to fool numerical derivation. What are people's thoughts? Before I continue adding tests will-nilly... Thank you, -Greg
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